I have the latest version of Lightroom (4.1) and just picked up the Canon 8-15 fisheye.
I noticed that there this lens does not have a lens profile available in the Lens correction section.

Does anyone know if I can somehow add this or why this lens might be missing? I can understand why distortion correction wouldn't be available at the full fisheye end but it seems like there should be a profile for 15mm etc.

There are many lenses that the latest version of LR don't have any lens profile for. I belive some of them will come in later versions of LR. But I also belive some will never be there. And the risk for that to happen would be greater if the lens is an uncommon or special lens.